Practitioner's corner: lag order and critical values of a modified Dickey-Fuller Test

Article Abstract:

A study on response surface analysis has shown that lag order produces a significant effect on finite-sample critical values of the modified Dickey-Fuller test, otherwise known as DF-GLS. Finite-sample critical values estimates also appear to correct for the effect of lag order. Estimates of critical values are not only generated for a few specific sample sizes but for a full range of sample sizes.

Evaluation, Econometrics, Finite element method

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Weak identification of forward-looking models in monetary economics

Article Abstract:

A study analyzing a method for the empirical identification of models such as, single-equation estimation by the generalized method of moments (GMM) most popular in monetary economics is presented. Such methods exploit their dynamic structure and the assumption of rational expectations.

Usage, Estimation theory, Method of moments(Statistics), Method of moments (Statistics)

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A note on the power of money-output causality tests

Article Abstract:

The degree of causality of money to output is examined. Autoregressive conditional heteroskedastic errors make a standard test less effective. An approach using maximum likelihood and accounting for errors shows a small but significant money effect on output.

Japan, Statistical Data Included, Research, Influence, Money, Causation, Causation (Philosophy), Production (Economics)

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